Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/113077
Authors: 
Krüger, Fabian
Clark, Todd E.
Ravazzolo, Francesco
Year of Publication: 
2015
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Forecasting C05-V2
Abstract: 
This paper shows entropic tilting to be a flexible and powerful tool for combining medium-term forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting systematically improves the accuracy of both point and density forecasts, and tilting the BVAR forecasts based on nowcast means and variances yields slightly greater gains in density accuracy than does just tilting based on the nowcast means. Hence entropic tilting can offer -- more so for persistent variables than not-persistent variables -- some benefits for accurately estimating the uncertainty of multi-step forecasts that incorporate nowcast information.
JEL: 
E17
C11
C53
Document Type: 
Conference Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.